Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 04 (1D) | Dec 05 (2D) | Dec 08 (5D) | Dec 09 (6D) | Dec 10 (7D) | Dec 11 (8D) | Dec 12 (9D) | Dec 15 (12D) | Dec 16 (13D) | Dec 17 (14D) | Dec 19 (16D) | Dec 26 (23D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 678.134 | 675.75 | 671.019 | 669.791 | 668.661 | 667.609 | 666.622 | 663.95 | 663.136 | 662.353 | 660.866 | 656.285 |
| upper | 689.646 | 692.03 | 696.761 | 697.989 | 699.119 | 700.171 | 701.158 | 703.83 | 704.644 | 705.427 | 706.914 | 711.495 |
| expected move | 5.756 | 8.14 | 12.871 | 14.099 | 15.229 | 16.281 | 17.268 | 19.94 | 20.754 | 21.537 | 23.024 | 27.605 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
